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Selected Aspects of Fractional Brownian Motion
Ivan Nourdin
€ 182.99
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Description for Selected Aspects of Fractional Brownian Motion
Hardback. This book explores several aspects of fractional Brownian motion, including the stochastic integration, the study of its supremum and its appearance as limit of partial sums involving stationary sequences. Series: Bocconi and Springer Series. Num Pages: 132 pages, biography. BIC Classification: KF; PBT. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 13. Weight in Grams: 386.
Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously ... Read more
Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously ... Read more
Product Details
Format
Hardback
Publication date
2012
Publisher
Springer Verlag Italy
Number of pages
132
Condition
New
Series
Bocconi and Springer Series
Number of Pages
124
Place of Publication
Milan, Italy
ISBN
9788847028227
SKU
V9788847028227
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Ivan Nourdin
Ivan Nourdin is full professor in Mathematics at Université de Lorraine (France). His research interests include Malliavin calculus, Stein's method and free probability.
Reviews for Selected Aspects of Fractional Brownian Motion
From the reviews: “This short monograph by Ivan Nourdin deals with several aspects of fractional Brownian motion (fBm) ranging from basic properties over integration theory to non-commutative fractional Brownian motion. … The text is well written and almost all results are given with complete proofs. It is certainly a valuable contribution to the literature on fBm and will be ... Read more